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Table 2
Comparison of Rating Calibrations with Moody’s Historical Default Rates
Moody’s Rating Historical One-Year Default Rates,
1983–1999		 Oliver, Wyman & Company One-
Year Default Probability
Aaa 0.00% 0.01%
Aa1 0.00 0.02
Aa2 0.00 0.03
Aa3 0.07 0.04
A1 0.00 0.05
A2 0.00 0.07
A3 0.00 0.09
Baa1 0.04 0.13
Baa2 0.07 0.18
Baa3 0.31 0.34
Ba1 0.62 0.63
Ba2 0.53 1.21
Ba3 2.52 2.25
B1 3.46 4.21
B2 6.88 7.86
B3 12.23 12.95
"Sources: Historical one-year default rates, 1983-1999, are from Keenan et al (2000), 27; Oliver, Wyman & Company one-year default probabilities from FDIC (2000), 29"

Last Updated 02/15/2002 insurance-research@fdic.gov